25#ifndef quantlib_nonlinear_fitting_methods_hpp
26#define quantlib_nonlinear_fitting_methods_hpp
55 ext::shared_ptr<OptimizationMethod>(),
57 Real minCutoffTime = 0.0,
64 Real minCutoffTime = 0.0,
74 std::unique_ptr<FittedBondDiscountCurve::FittingMethod>
clone()
const override;
98 ext::shared_ptr<OptimizationMethod>(),
100 Real minCutoffTime = 0.0,
104 Real minCutoffTime = 0.0,
106 std::unique_ptr<FittedBondDiscountCurve::FittingMethod>
clone()
const override;
130 ext::shared_ptr<OptimizationMethod>(),
132 Real minCutoffTime = 0.0,
136 Real minCutoffTime = 0.0,
138 std::unique_ptr<FittedBondDiscountCurve::FittingMethod>
clone()
const override;
171 ext::shared_ptr<OptimizationMethod>(),
173 Real minCutoffTime = 0.0,
179 Real minCutoffTime = 0.0,
183 std::unique_ptr<FittedBondDiscountCurve::FittingMethod>
clone()
const override;
211 ext::shared_ptr<OptimizationMethod>(),
213 Real minCutoffTime = 0.0,
219 Real minCutoffTime = 0.0,
221 std::unique_ptr<FittedBondDiscountCurve::FittingMethod>
clone()
const override;
237 Real minCutoffTime = 0.0,
239 std::unique_ptr<FittedBondDiscountCurve::FittingMethod>
clone()
const override;
241 void init()
override;
B-spline basis functions.
1-D array used in linear algebra.
B-spline basis functions.
CubicSpline B-splines fitting method.
std::unique_ptr< FittedBondDiscountCurve::FittingMethod > clone() const override
clone of the current object
Size size() const override
total number of coefficients to fit/solve for
Real basisFunction(Integer i, Time t) const
cubic B-spline basis functions
Natural N_
N_th basis function coefficient to solve for when d(0)=1.
DiscountFactor discountFunction(const Array &x, Time t) const override
discount function called by FittedBondDiscountCurve
Exponential-splines fitting method.
std::unique_ptr< FittedBondDiscountCurve::FittingMethod > clone() const override
clone of the current object
Size size() const override
total number of coefficients to fit/solve for
DiscountFactor discountFunction(const Array &x, Time t) const override
discount function called by FittedBondDiscountCurve
Base fitting method used to construct a fitted bond discount curve.
Array weights() const
return weights being used
bool constrainAtZero() const
return whether there is a constraint at zero
Array l2() const
return l2 penalties being used
ext::shared_ptr< OptimizationMethod > optimizationMethod() const
return optimization method being used
Shared handle to an observable.
Nelson-Siegel fitting method.
std::unique_ptr< FittedBondDiscountCurve::FittingMethod > clone() const override
clone of the current object
Size size() const override
total number of coefficients to fit/solve for
DiscountFactor discountFunction(const Array &x, Time t) const override
discount function called by FittedBondDiscountCurve
template class providing a null value for a given type.
Simple polynomial fitting method.
std::unique_ptr< FittedBondDiscountCurve::FittingMethod > clone() const override
clone of the current object
Size size() const override
total number of coefficients to fit/solve for
DiscountFactor discountFunction(const Array &x, Time t) const override
discount function called by FittedBondDiscountCurve
Spread fitting method helper.
std::unique_ptr< FittedBondDiscountCurve::FittingMethod > clone() const override
clone of the current object
Size size() const override
total number of coefficients to fit/solve for
Handle< YieldTermStructure > discountingCurve_
ext::shared_ptr< FittingMethod > method_
void init() override
rerun every time instruments/referenceDate changes
DiscountFactor discountFunction(const Array &x, Time t) const override
discount function called by FittedBondDiscountCurve
std::unique_ptr< FittedBondDiscountCurve::FittingMethod > clone() const override
clone of the current object
Size size() const override
total number of coefficients to fit/solve for
DiscountFactor discountFunction(const Array &x, Time t) const override
discount function called by FittedBondDiscountCurve
discount curve fitted to a set of bonds
Real Time
continuous quantity with 1-year units
Real DiscountFactor
discount factor between dates
unsigned QL_INTEGER Natural
positive integer
QL_INTEGER Integer
integer number
std::size_t Size
size of a container
Maps shared_ptr to either the boost or std implementation.